Set-valued average value at risk and its computation (Q356482): Difference between revisions

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+W2139090564
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+.5702
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+Risk Measures and Efficient use of Capital
@@ Property / cites work: Risk Measures and Efficient use of Capital / rank @@
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+An outer approximation algorithm for generating all efficient extreme points in the outcome set of a multiple objective linear programming problem
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+Consistent risk measures for portfolio vectors
@@ Property / cites work: Consistent risk measures for portfolio vectors / rank @@
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+COMONOTONIC MEASURES OF MULTIVARIATE RISKS
@@ Property / cites work: COMONOTONIC MEASURES OF MULTIVARIATE RISKS / rank @@
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+Law invariant risk measures on <i>L</i>                   <sup>∞</sup> (ℝ<sup>                      <i>d</i>                   </sup>)<i />
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+Stochastic finance. An introduction in discrete time
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+Duality for Set-Valued Measures of Risk
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+Set-valued risk measures for conical market models
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+Benson type algorithms for linear vector optimization and applications
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+Coherent risk measures and good-deal bounds
@@ Property / cites work: Coherent risk measures and good-deal bounds / rank @@
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+Vector-valued coherent risk measures
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+Hedging and liquidation under transaction costs in currency markets
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+Markets with transaction costs. Mathematical theory.
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+The decoupling approach to binomial pricing of multi-asset options
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+Vector Optimization with Infimum and Supremum
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+AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
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+Q2724706
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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+Publication:356482